Skip to main content
  • Book
  • © 2018

Mathematical and Statistical Methods for Actuarial Sciences and Finance

MAF 2018

  • Offers selected peer-reviewed papers

  • Focuses on mathematical and statistical methods in actuarial sciences and finance

  • Intended for academicians, researchers, Ph.D. students and professionals

Buying options

eBook USD 109.00
Price excludes VAT (USA)
  • ISBN: 978-3-319-89824-7
  • Instant PDF download
  • Readable on all devices
  • Own it forever
  • Exclusive offer for individuals only
  • Tax calculation will be finalised during checkout
Softcover Book USD 149.99
Price excludes VAT (USA)
Hardcover Book USD 249.99
Price excludes VAT (USA)

This is a preview of subscription content, access via your institution.

Table of contents (91 chapters)

  1. Front Matter

    Pages i-xvi
  2. The Effect of Rating Contingent Guidelines and Regulation Around Credit Rating News

    • Pilar Abad, Antonio Díaz, Ana Escribano, M. Dolores Robles
    Pages 1-5
  3. Inference in a Non-Homogeneous Vasicek Type Model

    • Giuseppina Albano, Virginia Giorno
    Pages 13-17
  4. Small Sample Analysis in Diffusion Processes: A Simulation Study

    • Giuseppina Albano, Michele La Rocca, Cira Perna
    Pages 19-23
  5. Using Deepest Dependency Paths to Enhance Life Expectancy Estimation

    • Irene Albarrán-Lozano, Pablo J. Alonso-González, Aurea Grané
    Pages 25-31
  6. Combining Multivariate Volatility Models

    • Alessandra Amendola, Manuela Braione, Vincenzo Candila, Giuseppe Storti
    Pages 39-43
  7. Bayesian Factorization Machines for Risk Management and Robust Decision Making

    • Pablo Angulo, Víctor Gallego, David Gómez-Ullate, Pablo Suárez-García
    Pages 51-55
  8. Improving Lee-Carter Forecasting: Methodology and Some Results

    • Giovanna Apicella, Michel M. Dacorogna, Emilia Di Lorenzo, Marilena Sibillo
    Pages 57-61
  9. The Bank Tailored Integrated Rating

    • Daniela Arzu, Marcella Lucchetta, Guido Massimiliano Mantovani
    Pages 63-67
  10. A Single Factor Model for Constructing Dynamic Life Tables

    • David Atance, Eliseo Navarro
    Pages 69-73
  11. Variable Annuities with State-Dependent Fees

    • Anna Rita Bacinello, Ivan Zoccolan
    Pages 75-80
  12. Dynamic Policyholder Behavior and Surrender Option Evaluation for Life Insurance

    • Fabio Baione, Davide Biancalana, Paolo De Angelis, Ivan Granito
    Pages 81-85
  13. Classification Ratemaking via Quantile Regression and a Comparison with Generalized Linear Models

    • Fabio Baione, Davide Biancalana, Paolo De Angelis, Ivan Granito
    Pages 87-91
  14. An Empirical Analysis of the Lead Lag Relationship Between CDS and Stock Market

    • Laura Ballester, Rebeca Fernández, Ana González-Urteaga
    Pages 93-96
  15. A Generalized Moving Average Convergence/Divergence for Testing Semi-strong Market Efficiency

    • Francesco Bartolucci, Alessandro Cardinali, Fulvia Pennoni
    Pages 101-105
  16. Periodic Autoregressive Models with Multiple Structural Changes by Genetic Algorithms

    • Francesco Battaglia, Domenico Cucina, Manuel Rizzo
    Pages 107-110

About this book

The interaction between mathematicians, statisticians and econometricians working in actuarial sciences and finance is producing numerous meaningful scientific results. This volume introduces new ideas, in the form of four-page papers, presented at the international conference Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF), held at Universidad Carlos III de Madrid (Spain), 4th-6th April 2018.

The book covers a wide variety of subjects in actuarial science and financial fields, all discussed in the context of the cooperation between the three quantitative approaches. The topics include: actuarial models; analysis of high frequency financial data; behavioural finance; carbon and green finance; credit risk methods and models; dynamic optimization in finance; financial econometrics; forecasting of dynamical actuarial and financial phenomena; fund performance evaluation; insurance portfolio risk analysis; interest rate models; longevity risk; machine learning and soft-computing in finance; management in insurance business; models and methods for financial time series analysis, models for financial derivatives; multivariate techniques for financial markets analysis; optimization in insurance; pricing; probability in actuarial sciences, insurance and finance; real world finance; risk management; solvency analysis; sovereign risk; static and dynamic portfolio selection and management; trading systems.

This book is a valuable resource for academics, PhD students, practitioners, professionals and researchers, and is also of interest to other readers with quantitative background knowledge.

Keywords

  • Insurance
  • Finance
  • Statistics
  • Mathematics
  • Econometrics

Editors and Affiliations

  • Dept. of Economics, Ca’ Foscari University of Venice, Venezia, Italy

    Marco Corazza

  • Dept. of Statistics, Universidad Carlos III de Madrid, Getafe, Madrid, Spain

    María Durbán, Aurea Grané

  • Dept. of Economics and Statistics, University of Salerno, Fisciano, Italy

    Cira Perna, Marilena Sibillo

About the editors

Marco Corazza has a PhD in "Mathematics for the Analysis of Financial Markets" and is an associate professor at the Department of Economics of the Ca' Foscari University of Venice (Italy). His main research interests include static and dynamic portfolio management theories; trading system models; machine learning applications in finance; bio-inspired optimization techniques; multi-criteria methods for economic decision support; port scheduling models and algorithms; and non-standard probability distributions in finance. He has participated in several research projects, at both the national and international level, and is the author/coauthor of one hundred and twenty scientific publications, some of which have received national and international awards. He is also editor-in-chief of the international scientific journal "Mathematical Methods in Economics and Finance", and is a member of the scientific committees of several conferences and of some private companies. His combines his academic activities with consulting services.

María Durbán is a professor of Statistics at Universidad Carlos III de Madrid (Spain). Her main areas of research are non-parametric regression, smooth mixed models and regression models for spatio-temporal data. She has numerous publications in these topics and their application in areas such as epidemiology, economics, and environmental sciences. She has been part of many scientific committees of international conferences. 

Aurea Grané is a professor of Statistics at Universidad Carlos III de Madrid (Spain). Her research interests are mainly in goodness-of-fit, multivariate techniques for mixed-type data, functional data analysis and she has published numerous papers on these topics in international journals. She has been a member of several scientific committees of international conferences, and was co-director of the Master in Quantitative Techniques for the Insurance Sector and vice-director of the Department of Statistics at Universidad Carlos III de Madrid.

Cira Perna is a professor of Statistics and head of the Department of Economics and Statistics, University of Salerno (Italy). Her research mainly focuses on non-linear time series, artificial neural network models and resampling techniques, and she has published numerous papers on these topics in national and international journals. She has been a member of several scientific committees of national and international conferences.

Marilena Sibillo is a professor of Mathematical Methods for Economics, Finance and Actuarial Sciences at the University of Salerno (Italy). She has several international editing engagements and is the author of over a hundred publications. Her research interests are mainly in longevity risk in life contracts, de-risking strategies, personal pension products and mortality forecasting.

Bibliographic Information

Buying options

eBook USD 109.00
Price excludes VAT (USA)
  • ISBN: 978-3-319-89824-7
  • Instant PDF download
  • Readable on all devices
  • Own it forever
  • Exclusive offer for individuals only
  • Tax calculation will be finalised during checkout
Softcover Book USD 149.99
Price excludes VAT (USA)
Hardcover Book USD 249.99
Price excludes VAT (USA)